An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options
نویسندگان
چکیده
منابع مشابه
An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options
We propose a fast and stable numerical method to evaluate two-dimensional partial differential equation (PDE) for pricing arithmetic average Asian options. The numerical method is deduced by combining an alternating-direction technique and the central difference scheme on a piecewise uniform mesh. The numerical scheme is stable in the maximum norm, which is true for arbitrary volatility and arb...
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A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields. In contrast to present methods, this approach does not require to implement jump conditions fo...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2013
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2013/605943